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Nonlinear Dynamics and Chaos Behaviors in the REIT Industry: A Pre- and Post-1993 Comparison

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  • Benjamas Jirasakuldech
  • Riza Emekter

Abstract

This study examines the nonlinear dynamic and chaos behavior of real estate investment trust (equity, mortgage, and hybrid) returns during the pre- and post-1993 REIT organizational and structural changes. There is substantial empirical evidence in favor of nonlinearity in the REIT industry and small stock markets for the whole sample periods and across two sub-periods. Asymmetric non-linear behavior that occurred in the real estate market is best described by a linear model with non Gaussian innovations; small stocks are nonlinear, but have Gaussian innovations. Similar patterns are reported for EREITs before and after 1993, suggesting that the return behavior of EREITs has not changed as the sizes and structures of REITs have changed over time.

Suggested Citation

  • Benjamas Jirasakuldech & Riza Emekter, 2012. "Nonlinear Dynamics and Chaos Behaviors in the REIT Industry: A Pre- and Post-1993 Comparison," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 18(1), pages 57-77, January.
    • Handle: RePEc:taf:repmxx:v:18:y:2012:i:1:p:57-77
    DOI: 10.1080/10835547.2012.12089915
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